A Risk-neutral Characterization of Optimization and Pessimism and its Applications
This note gives a simple, but useful characterization of optimism and pessimism represented by a convex and concave shift of probability weighting functions, and applies it to two comparative static analysis.
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- repec:ebl:ecbull:v:4:y:2005:i:8:p:1-8 is not listed on IDEAS
- Yusuke Osaki, 2005. "Dependent Background Risks and Asset Prices," Discussion Papers in Economics and Business 05-13, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP).
- Yusuke Osaki, 2005. "Dependent background risks and asset prices," Economics Bulletin, AccessEcon, vol. 4(8), pages 1-8. Full references (including those not matched with items on IDEAS)
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